Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0029 |
| Annualized Std Dev | 0.2748 |
| Annualized Sharpe (Rf=0%) | -0.0104 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5582.0000 |
| NAs | 1.0000 |
| Minimum | -0.1413 |
| Quartile 1 | -0.0077 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0084 |
| Maximum | 0.2299 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0173 |
| Skewness | -0.2497 |
| Kurtosis | 12.1215 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0119 |
| Loss Deviation | 0.0136 |
| Downside Deviation (MAR=210%) | 0.0172 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.8305 |
| Historical VaR (95%) | -0.0261 |
| Historical ES (95%) | -0.0418 |
| Modified VaR (95%) | -0.0253 |
| Modified ES (95%) | -0.0371 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-11-10 | 2020-03-23 | NA | -0.8305 | 2607 | 2356 | NA |
| 2007-06-18 | 2008-10-10 | 2010-11-05 | -0.6731 | 856 | 334 | 522 |
| 1999-05-14 | 2002-10-10 | 2003-10-14 | -0.5184 | 1105 | 853 | 252 |
| 2004-01-14 | 2004-05-10 | 2005-07-25 | -0.3344 | 385 | 81 | 304 |
| 2005-12-19 | 2006-06-13 | 2007-02-14 | -0.2812 | 290 | 121 | 169 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | -0.7 | 0 | 0 | 0.6 | 4.9 | 0 | 0.6 | -1.2 | 0 | 1.8 | 2.3 | 8.3 |
| 2000 | -3.1 | 1.1 | 3.6 | 3.9 | 0 | 2 | 0 | 0.7 | 0.7 | 2.2 | 0.7 | -0.7 | 11.3 |
| 2001 | 0 | -0.7 | 1 | 0.8 | -0.2 | -0.5 | -0.4 | -0.7 | -2.8 | 0.8 | -1.2 | -0.5 | -4.2 |
| 2002 | 0.7 | 1.7 | 0.1 | 0.2 | -1.1 | -0.7 | 5.3 | 1.2 | 2.3 | 2.1 | 0.3 | 1.3 | 14.2 |
| 2003 | 0.3 | 1.3 | 0.8 | 0 | -1.5 | 3.3 | 0.8 | 3 | 1.1 | -0.6 | 1.4 | -0.6 | 9.7 |
| 2004 | 3.8 | 3.3 | 1.7 | 1 | 0.4 | 0.2 | -0.8 | -1.8 | 1.3 | 0.1 | -0.1 | 0.7 | 10.1 |
| 2005 | -0.9 | -0.4 | 0.4 | 0.8 | 0.4 | -0.1 | 0.2 | -3.6 | -0.1 | -4.1 | 1.1 | 1.2 | -5.2 |
| 2006 | 3.7 | 0.5 | 1.6 | -1.6 | -0.9 | -0.2 | 0.4 | 0.4 | 0.8 | -0.6 | 0.3 | -0.6 | 4 |
| 2007 | 0.6 | -1.1 | 0.6 | -0.7 | 0.9 | 2.1 | -2.9 | 2.4 | 2.4 | -1.9 | 4.2 | 4.8 | 11.7 |
| 2008 | -1.1 | -2.2 | 2.6 | 1.1 | -0.8 | -1.5 | -0.5 | 1 | 2.1 | -0.6 | -2.9 | 2.3 | -0.7 |
| 2009 | 1.4 | 2.7 | 2.2 | 0.7 | 1.3 | 2.2 | 0.5 | -3.5 | -2.2 | -2.5 | 0.9 | 0.8 | 4.4 |
| 2010 | 2.5 | -1.9 | 1.7 | 0.6 | -2.7 | -0.6 | 0.8 | 2.9 | -0.2 | 1.6 | 0.8 | 3.5 | 9.3 |
| 2011 | 1.5 | -1.5 | -1.3 | 1.1 | -0.7 | -0.7 | 1.4 | 0.7 | -2 | -0.8 | -0.3 | -1.1 | -3.6 |
| 2012 | 3 | 0.2 | 1.9 | 0.3 | -2.7 | 0.6 | -1.9 | 1.1 | 0.7 | 1.2 | 0 | 0.6 | 5 |
| 2013 | 0.1 | 0.4 | -1.6 | 1.3 | -0.3 | 0.3 | 6.2 | -1.5 | -0.4 | 0.8 | -0.7 | -0.4 | 4.2 |
| 2014 | -4.3 | -0.2 | 0.5 | -0.3 | 0.2 | 1 | -0.8 | 0.9 | 0 | -0.2 | -1.1 | 0.1 | -4.3 |
| 2015 | -1.1 | 0.1 | 1.9 | 0.7 | -1.1 | -3.4 | 2.1 | -1.9 | -0.5 | -0.6 | -0.3 | 0.5 | -3.7 |
| 2016 | -0.9 | 2.2 | -0.2 | 0.6 | -0.5 | -0.2 | -0.9 | 0.6 | 0.3 | -0.3 | 1 | -0.7 | 1.1 |
| 2017 | 0 | 0.5 | 0.6 | -0.1 | 1.3 | 0 | -0.5 | 0.9 | 1.3 | 0.6 | -0.3 | 0.2 | 4.5 |
| 2018 | 0.7 | -1 | 2.1 | 0.6 | 0.7 | 2.2 | -0.3 | 0.3 | 0.6 | 3.8 | -0.1 | 0 | 9.8 |
| 2019 | 0.4 | 0.3 | 1.4 | 0 | 0.1 | 1.5 | -1.2 | 0.7 | 0.1 | 1.6 | -1.8 | -0.3 | 2.8 |
| 2020 | -1.6 | -3.3 | -3.3 | -2.1 | 2.1 | 1 | -0.1 | 1.2 | 0.3 | -1.2 | 2.1 | 0.2 | -4.6 |
| 2021 | 2.9 | 1.7 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 9.31 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 9.38 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 9.69 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 9.38 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 9.38 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 9.12 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
